Speaking at the $308 billion pension fund's investment committee meeting in Sacramento, Mr. Eliopoulos downplayed the results, saying, “Of course, we like to look at much longer time periods for them to be meaningful,” according to a webcast of the meeting.

Mr. Eliopoulos said the pension fund has seen a 30-basis-point reduction in returns since the new interim allocation was put in to place but added it was “more by coincidence than by anything else.”

Between Sept. 15 and Feb. 10, the MSCI All Country World index returned 7.1% and the Russell 3000 index, 8.1%.

Mr. Eliopoulos had said the equity reduction was necessary to protect the pension fund from a major market loss in case of a downturn.

As part of the interim allocation changes back in September, the pension fund also reduced its private equity target to 8% from 10% because of the difficulty in finding suitable private equity investments. It also increased the combined allocation to inflation-protected securities and commodities to 9%, from 6%.

CalPERS is in the process of setting its asset allocation for the period starting in July 2018 and expects to decide on that allocation by early next year.

In the meantime, pension fund documents shows the retirement system expects to earn a 5.8% rate of return based on the interim allocation.

In December, the CalPERS board voted to reduce the pension fund's long-term expected annualized return to 7% from 7.5% over a three-year period.